The England forward’s future looked uncertain during the closed season after he started just 15 Premier League games last term.
Walcott was linked with West Ham, among others, as the east London club attempted to reinforce their front line.
But the 27-year-old eventually stayed put at the Emirates and has been rejuvenated this year.
Walcott has already started eight games in the league and has scored five goals – which was as many as he notched in the whole of the last campaign.
And, when asked whether there was interest in Walcott during the window, Wenger was adamant that he never considered a sale.
He said: “Look I didn’t speak to anybody because I was not ready to let him go – I always wanted to keep him.”